Hybrid Monte Carlo methods in credit risk management

DOI10.1515/MCMA-2014-0004zbMATH Open1305.65009arXiv1405.1831OpenAlexW2962842199MaRDI QIDQ487525FDOQ487525

Lucia Del Chicca, Gerhard Larcher

Publication date: 22 January 2015

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Abstract: In this paper we analyze and compare the use of Monte Carlo, Quasi-Monte Carlo and hybrid Monte Carlo-methods in the credit risk management system Credit Metrics by J.P.Morgan. We show that hybrid sequences used for simulations, in a suitable way, in many relevant situations, perform better than pure Monte Carlo and pure Quasi-Monte Carlo methods, and they essentially never perform worse than these methods.

Full work available at URL: https://arxiv.org/abs/1405.1831

zbMATH Keywords

quasi-Monte Carlo methodsrisk managementhybrid sequences

Mathematics Subject Classification ID

Monte Carlo methods (65C05)

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• Calculation of credit valuation adjustment based on least square Monte Carlo methods
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• On Hybrid Point Sets Stemming from Halton-Type Hammersley Point Sets and Polynomial Lattice Point Sets

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